[Octave-cvsupdate] octave-forge/main/statistics mvnrnd.m,1.1,1.2

[Paul K. <pki...@us...>]

Update of /cvsroot/octave/octave-forge/main/statistics
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv382

Modified Files:
	mvnrnd.m 
Log Message:
Add comments about accuracy testing.


Index: mvnrnd.m
===================================================================
RCS file: /cvsroot/octave/octave-forge/main/statistics/mvnrnd.m,v
retrieving revision 1.1
retrieving revision 1.2
diff -u -d -r1.1 -r1.2
--- mvnrnd.m	6 Nov 2005 03:12:39 -0000	1.1
+++ mvnrnd.m	20 Nov 2005 22:46:13 -0000	1.2
@@ -91,5 +91,14 @@
 % 	U = sqrt(Lambda)*E'
 % If any Lambdas are negative then Sigma just isn't even positive semi-definite
 % so we can give up.
+%
+% Paul Kienzle adds:
+%   Where it exists, chol(Sigma) is numerically well behaved.  chol(hilb(12)) 
+%   for doubles and for 100 digit floating point differ in the last digit.
+%   Where chol(Sigma) doesn't exist, X*sqrt(Lambda)*E' will be somewhat
+%   accurate.  For example, the elements of sqrt(Lambda)*E' for hilb(12),
+%   hilb(55) and hilb(120) are accurate to around 1e-8 or better.  This was
+%   tested using the TNT+JAMA for eig and chol templates, and qlib for
+%   100 digit precision.
 % }}}